On efficient estimators of two seemingly unrelated regressions
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 563-570 |
| Journal / Publication | Statistics and Probability Letters |
| Volume | 81 |
| Issue number | 5 |
| Publication status | Published - May 2011 |
| Externally published | Yes |
Link(s)
Abstract
In this paper, following the results presented in Liu's work [Liu, A.Y., 2002. Efficient estimation of two seemingly unrelated regression equations. Journal of Multivariate Analysis 82, 445-456], we first represent the Gauss-Markov estimator of the regression parameter as a matrix series, and hence we conclude that the observation vectors should appear in any efficient estimator in pairs. Second, we prove that the simpler form of the two-stage Aitken estimator is unique. Finally we generalize our results to the system of two seemingly unrelated regressions with unequal numbers of observations and briefly summarize our conclusions. © 2011 Elsevier B.V.
Research Area(s)
- Mean square error matrix, Seemingly unrelated regressions, Two-stage estimator
Citation Format(s)
On efficient estimators of two seemingly unrelated regressions. / Wang, Lichun; Lian, Heng; Singh, Radhey S.
In: Statistics and Probability Letters, Vol. 81, No. 5, 05.2011, p. 563-570.
In: Statistics and Probability Letters, Vol. 81, No. 5, 05.2011, p. 563-570.
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
